Fast Estimation of a Covariance Matrix by Banding the Cholesky
Factor
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Documentation for package ‘FastBandChol’ version 0.1.1
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| FastBandChol-package | Fast estimation of covariance matrix by banded Cholesky factor |
| banded.chol | Computes estimate of covariance matrix by banding the Cholesky factor |
| banded.chol.cv | Selects bandwidth for Cholesky factorization by cross validation |
| banded.sample | Computes banded sample covariance matrix |
| banded.sample.cv | Selects bandwidth for sample covariance matrix by cross validation |
| FastBandChol | Fast estimation of covariance matrix by banded Cholesky factor |